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Ripley B.D. — Stochastic Simulation
Ripley B.D. — Stochastic Simulation

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Название: Stochastic Simulation

Автор: Ripley B.D.

Аннотация:

A comprehensive guide to simulation methods with explicit recommendations of methods and algorithms. Covers both the technical aspects of the subject, such as the generation of random numbers, non-uniform random variates and stochastic processes, and the use of simulation. Supported by the relevant mathematical theory, the text contains a great deal of unpublished research material, including coverage of the analysis of shift-register generators, sensitivity analysis of normal variate generators, analysis of simulation output, and more. Includes a selection of computer programs.


Язык: en

Рубрика: Математика/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 1987

Количество страниц: 237

Добавлена в каталог: 18.10.2010

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
"Student"      5
"Student", t-distribution      5 8 55 87 92 94
Acceptance sampling      see "Rejection sampling"
ACT Sirius      1 83 215
Akaike’s AIC Criterion      156
Alias method      72ff 232f
Antithetic variates      118 124 129ff 139f
APL      53 83
Apple II      18
Autoregressive spectral estimation      156f
Bartlett’s decomposition      99 117
BASIC      5 10 17 18 76 83 97
batching      145 150ff
Bays — Durham shuffle      42 51
BBC computer      5 10 27 76 83 97 215
BCPL      40
Beta distribution      60f 65 90 92f
Binomial distribution      75 78 92
BLOCKS      119 138
Bootstrap      4 174ff
Box — Muller algorithm      54 93
Brownian motion      107
Buffon’s needle      14 193ff 199
Cauchy distribution      8 60 66f 87 92 120
CDC      83 216
Chi-squared distribution      55
Chi-squared test      44 95
Cholesky decomposition      98
Closest pair      6
Collective      19
Combinatorial optimization      179 181
Combining generators      43
Common random numbers      119 138
Composition methods      63 102
Conditional Monte Carlo      136f
Conditioning      118 134ff
Confidence interval, bias-corrected percentile      177
Confidence interval, Monte-Carlo      176ff 198
Confidence interval, percentile      176
Congruential generator      17
Continuous distributions      81ff
Control variates      118 124ff
Correlation tests      24 45
Correlation, extremal      130
Corvus Concept      83 215 217
Coupon collector’s test      44
Cox process      111
Cryptography      16
Decimation      27
Deletion      143 146
Discrepancies      190
Discrete distributions      71ff 231ff
Discrete distributions, multivariate      100
Discrete-event simulation      105 169
Doubly stochastic Poisson process      111
Dynamic thinning      103
Eigenvalues      188f 199
Electronic noise      15
Envelope      61
Experimental design      137ff
Exponential distribution      55 59 63 67 69 87 230
Exponential spacings      97
F distribution      55 90 92
Factorial experiments      139
Fast Fourier Transform      109
Fermat’s Little Theorem      47
Fibonacci recursion      15 51
Forsythe rejection method      62 65 93
FORTRAN      46 78 97 100 217
Gamma distribution      88ff 92 95 231
Gaps test      43 51
Gaussian processes      105ff
Generalized feedback shift-register generators (GFSR)      28ff 227ff
Geometric distribution      77 92
Gibbs sampler      115
Gibbsian point process      112
GLIM3      40
Hazard function      102
Heterogeneous Poisson process      101
Hit-or-miss Monte Carlo      121
IBM computers      23 38 83
Image textures      116
Importance sampling      118 122f 139
Indexed search      72
Infinitely divisible distributions      91
Initial transient      143 146ff
Inverse gaussian distribution      94
Inversion method      59 71
Jacknife      158 160
k-distributed      19 29
Kolmogorov — Smirnov test      44f 92 95
Languages for simulation      10 105
Lattice      23 33ff 220
Lattice, polar      37
Lifetime distributions      102
Linear equations      186ff
Markov process      104
Markov random field      114
Median      7 8 98
Metropolis’ method      113
Middle-square method      15f 50
Minkowski’s theorem      36
MOD      12 217
Models      2
Monte-Carlo, confidence intervals      176ff 198
Monte-Carlo, integration      1 119 131
Monte-Carlo, tests      4 171ff 198
Multivariate distributions      98
Multivariate distributions, discrete      100
NAG Library      38 46
Neave effect      55ff
Negative binomial distribution      78
Normal distribution      5 54 60 65 67 82ff 92 228ff
Normal distribution, contaminated      9
Order statistics      96ff
Pareto distribution      104
PDP—11 computer      23
Percentile confidence interval      176
Period      17
Period, full      20
Period, maximal      20
Permutation test      44 51
permutations      42 81
PERT analysis      134
PET computer      18
Physical methods      14f
Pincus’ method      180f 198
Point pattern      6 26 45
Point process      1 10ff
Poisson distribution      72 76 79 92
Poisson process      10 12 55 100f 107 111
Polar lattice      37
Polar method (for normals)      62
Power function      124 172
Pretesting      69
Prewhitening      157
Primality testing      170
Primitive root      21 219
Princeton Robustness Study      7 13 134
Pseudo-random      2 15
Quantiles      98 117
Quasi-Monte-Carlo integration      189ff
Quasi-random      15
Queueing systems      10
Queueing systems, control and antithetic variates      132ff
Queueing systems, with slow server      161ff
Random fields      113
Random numbers      14
Random search algorithms      179
Random sequences      19
Random start algorithm      180
RANDU      23 34 41
Ratio of uniforms method      65ff
Regenerative process      159
Regenerative simulation      12 143 157ff
Rejection sampling      60ff
Renewal process      100 110 140
Reporting simulation results      4
Reservoir sampling      80 94
Response surface designs      139 185
Reusing uniforms      93
Reversible Markov chain      113
Rotation sampling      141
Runs test      44 51
Sampling without replacement      80f
Searching tables      71
Seed      20 42
Seed, matrix      29
Seed, switching      140
Sequential tests      122
Shift-register generator      17 26
Shuffling      42
Simulated annealing      181ff
Simulation      1
Simulation, regenerative      12 143 157ff
Slow server example      161ff
sorting methods      98
Spectral density      110 144 155ff 168
Spectral test      37
Spin exchange method      116
Squeezing      67ff
Stable distributions      91 see "Normal
Standardized time series      146 153ff
Statistical experiment      2 4
Statistical inference      4 171ff
Steady-state simulation      142
Stochastic algorithms      170
Stochastic approximation      185
Stochastic differential equations      107
Stochastic optimization      183ff
Stratified sampling      118 122 131
Superposition      102
swindles      119
Switching methods      65
Sylvester’s problem      5
t-distribution      see "Student"
Table method (Marsaglia — Norman — Cannon)      76f
Tausworthe generators      27ff
Terminating approach to simulation      142
Thinning method      101
Time series, methods      155ff
Time series, models      106
Time series, standardized      153f
tours      12 135 157
Turning band method      108
Variance reduction      4 7 9 118 197
VAX computer      6 38 97 163 216 217
Virtual measures      135
von Mises distribution      60f
Von Neumann’s method      63 87 92 230
Waiting-time paradox      161
Weibull distribution      60
Wishart distribution      99
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